Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0540
Annualized Std Dev 0.1959
Annualized Sharpe (Rf=0%) 0.2755

Row

Daily Return Statistics

Close
Observations 5237.0000
NAs 1.0000
Minimum -0.1191
Quartile 1 -0.0046
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0058
Maximum 0.1137
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0123
Skewness -0.1719
Kurtosis 10.3211

Downside Risk

Close
Semi Deviation 0.0089
Gain Deviation 0.0088
Loss Deviation 0.0099
Downside Deviation (MAR=210%) 0.0136
Downside Deviation (Rf=0%) 0.0088
Downside Deviation (0%) 0.0088
Maximum Drawdown 0.5643
Historical VaR (95%) -0.0188
Historical ES (95%) -0.0299
Modified VaR (95%) -0.0180
Modified ES (95%) -0.0276
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-02-19 -0.5643 1349 355 994
2000-09-05 2002-10-09 2007-05-03 -0.4955 1673 525 1148
2020-02-20 2020-03-23 2020-08-17 -0.3460 125 23 102
2018-09-21 2018-12-24 2019-04-29 -0.2054 150 65 85
2015-05-22 2016-02-11 2016-07-14 -0.1555 289 183 106

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA 3.1 0.4 0.6 0.1 -1.1 -0.7 -0.4 -1 0.8
2001 0.2 -0.1 0.8 1.2 0.6 0.1 0.4 0.7 -0.5 2 -0.1 -0.3 5.1
2002 -0.4 1.9 0.2 0.7 0.2 -1.7 -3 -0.4 3.1 2 0.1 0 2.5
2003 1.5 0.8 1.5 0.1 1.8 1 -1 0.4 1.9 0.4 0.9 0.1 9.7
2004 0.1 0.9 0.7 -0.7 0 -1.1 0.5 0.1 1.6 0 1.4 -0.5 3.1
2005 0.6 0.7 -0.5 1.3 0.9 0.6 -0.1 0 0.6 0 1.2 -0.5 4.9
2006 0.6 0.7 -0.1 -0.4 1.3 0 -0.4 0.5 -0.2 -0.7 -0.2 -0.4 0.7
2007 0.7 -0.2 -0.1 0.2 0.4 -0.1 0.7 0.9 1.3 -2.4 0.9 -0.6 1.5
2008 1.4 -2.6 3.4 1.8 0.1 0.6 -0.5 -1.2 -0.7 2.1 -8.6 1.3 -3.4
2009 -2.1 -2.1 2.2 0.6 2.6 0.5 0.2 -2.2 -2.5 -2.8 1.2 -1 -5.5
2010 1.5 1.1 0.6 -1.6 -1.8 -0.2 0.1 2.9 0.4 0.1 2.2 0 5.3
2011 1.6 -1.6 0.4 0.3 -2.2 1.5 -0.5 -1.1 -2.5 -2.7 -0.1 -0.4 -7.1
2012 1 0.7 0.3 0.7 -2.5 2.6 -0.2 0.4 0.2 1.3 0 1.9 6.4
2013 0.9 0.4 -0.4 -0.9 -1.8 0.3 1.3 -0.4 0.9 0.3 -0.1 0.5 0.9
2014 -0.6 0.2 0.7 0.1 0.1 0.7 -0.3 0.2 -1.3 1.1 -0.8 -1 -0.8
2015 -1.2 -0.4 -0.4 1 0.2 0.7 -0.2 -3 0.2 -0.4 0.9 -0.9 -3.5
2016 0 2.4 0.6 -0.6 0.3 0.2 -0.1 0.1 0.8 -0.7 -0.4 -0.4 2.1
2017 0 1.4 -0.2 0.2 0.8 0.2 0.2 0.2 0.3 0.1 -0.1 -0.4 2.8
2018 0 -1.3 1.4 0.2 1 0.1 -0.1 0 0.3 1.1 0.7 1 4.6
2019 0.2 0.7 1.2 -0.7 -1.2 0.9 -0.9 0 -1.2 1 -0.4 0.2 -0.4
2020 -1.8 -0.7 -4.4 -2.7 0.6 0.6 0.7 0.8 0.7 -1.2 1 0.4 -5.8
2021 1.6 2.4 0 NA NA NA NA NA NA NA NA NA 4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-05-19  74.3 SPY    141. -0.0187  -0.0118  -0.014    0.043    0.0584       NA       NA <NA>     NA    NA       NA
2 2000-05-22  74.1 SPY    140. -0.0075  -0.0359  -0.0261   0.0377   0.0682       NA       NA <NA>     NA    NA       NA
3 2000-05-23  72.8 SPY    138  -0.0147  -0.0584  -0.0299   0.0105   0.0698       NA       NA <NA>     NA    NA       NA
4 2000-05-24  73.5 SPY    140.  0.0163  -0.0338  -0.0534   0.0481   0.0752       NA       NA <NA>     NA    NA       NA
5 2000-05-25  72.9 SPY    138. -0.0172  -0.0415  -0.059    0.0339   0.0722       NA       NA <NA>     NA    NA       NA
6 2000-05-26  72.5 SPY    138   0.0011  -0.0221  -0.0548   0.0138   0.0599       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart